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CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks


  • Abdulnasser Hatemi-J

    () (UAE University)

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This GAUSS module implements tests for cointegration with two unknown structural breaks. The tests are developed by (Hatemi-J 2008, Empirical Economics). The timing of structural break is determined by the underlying data. For critical values see the published paper. The module provides also the estimated cointegrating parameters with the breaks.

Suggested Citation

  • Abdulnasser Hatemi-J, 2009. "CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks," Statistical Software Components G00006, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:g00006

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    Cited by:

    1. Abdulnasser Hatemi-J & Eduardo Roca, 2010. "Estimating Optimal Hedge Ratio with Unknown Structural Breaks," Discussion Papers in Finance finance:201010, Griffith University, Department of Accounting, Finance and Economics.


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